FSM's are
generally most effective with AI. They have scripted behaviour, and it makes it much easier to control the desired actions.
FSM's are not for dynamic actions like run/jump/shoot all at once, but for when only one action or set of actions will need to happen at a time.
With that said, using a FSM type of structure certainly in possible in a run/jump/shoot kind of case, but it's certainly not as efficient as if you weren't worrying about states.
There are several ways to manipulate a state machine, and it boils down to either:
A variable that determines what to do within a class/object/entity
Separate class/object/entities that switch from one to the other
Imho, FSM's are not an answer for everything. I only use them for more complex AI, usually-- Most simple AI I make I don't even bother. They're also good for things like doors and switches, of course, but that's a trivial case.
For instance, an enemy that only needs to shoot bullets across the screen, and change direction randomly every 3 seconds does not need a state machine, even thought it basically has different states. In this case, it's so simple states would only make a mess of things.
But if you want an AI that reacts to input-- Say you want an enemy to back away after it's hp goes below 50%, states start to shine. You just create two different states for the two different circumstances, and switch to the defensive, back-off state after it's hp goes below the mark.
I hope I understood what you were asking, and that I clarified a bit.
Cheers!